The draw for the quarter-finals was made following City's extra-time victory over Newcastle on Wednesday night, and Pellegrini's side were paired against Sky Bet Championship promotion hopefuls Leicester.
The Foxes have already seen off Barclays Premier League opposition in the competition, beating Fulham 4-3 at the King Power Stadium on Tuesday night.
Pellegrini, 60, has warned his team that Leicester are not to be taken lightly.
"I'm not thinking it's an easy tie," the Chilean told City's official club website after the 2-0 win at St James' Park.
"Leicester continue in this cup because they beat Fulham and that is not an easy team so we suppose we will have a very difficult match and if we want to win we will have to play very well."
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